| Close | |
|---|---|
| Annualized Return | 0.0128 |
| Annualized Std Dev | 0.1884 |
| Annualized Sharpe (Rf=0%) | 0.0678 |
| Close | |
|---|---|
| Observations | 5576.0000 |
| NAs | 1.0000 |
| Minimum | -0.1791 |
| Quartile 1 | -0.0042 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0052 |
| Maximum | 0.1504 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0001 |
| Stdev | 0.0119 |
| Skewness | -1.7980 |
| Kurtosis | 34.8800 |
| Close | |
|---|---|
| Semi Deviation | 0.0091 |
| Gain Deviation | 0.0081 |
| Loss Deviation | 0.0111 |
| Downside Deviation (MAR=210%) | 0.0136 |
| Downside Deviation (Rf=0%) | 0.0090 |
| Downside Deviation (0%) | 0.0090 |
| Maximum Drawdown | 0.6221 |
| Historical VaR (95%) | -0.0160 |
| Historical ES (95%) | -0.0292 |
| Modified VaR (95%) | -0.0164 |
| Modified ES (95%) | -0.0164 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-09-08 | 2008-10-10 | 2019-09-12 | -0.6221 | 4773 | 2025 | 2748 |
| 2020-02-13 | 2020-03-18 | 2020-11-16 | -0.4320 | 193 | 24 | 169 |
| 2021-02-16 | 2021-03-08 | NA | -0.1954 | 25 | 15 | NA |
| 1999-07-20 | 1999-12-17 | 2000-09-01 | -0.1671 | 283 | 106 | 177 |
| 2020-11-24 | 2020-11-30 | 2020-12-18 | -0.0930 | 18 | 4 | 14 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 1.4 | 0.3 | -0.8 | -1.4 | 0 | 0.8 | 1.1 | -0.3 | -1.4 | -0.6 | 0.9 | 0.3 | 0.3 |
| 2000 | 0.3 | 0 | 2.6 | 0 | 1.5 | -0.6 | 0.3 | 1.8 | 0.8 | 0.3 | -3.3 | 1.7 | 5.4 |
| 2001 | 0 | -0.2 | 4.7 | 0.7 | 0 | 2 | 1.4 | -0.7 | -0.3 | 0 | 1.8 | 1.2 | 11.1 |
| 2002 | 0 | 0.5 | 0 | 0.3 | -0.3 | -1.2 | 0.6 | 0.3 | -1.7 | -0.1 | -1 | -1.3 | -3.8 |
| 2003 | -0.6 | 0.1 | 0.8 | 0 | 0.1 | -1.2 | -1.7 | -0.1 | -0.1 | 0.3 | 0 | -0.3 | -2.7 |
| 2004 | 1.1 | 0.5 | 0.4 | -0.8 | -0.9 | 0.5 | -0.4 | 0 | -0.5 | 0.4 | -0.8 | 2 | 1.4 |
| 2005 | -0.3 | 0.2 | 0.5 | -0.5 | 0.2 | 0.3 | 0.8 | 0.4 | 0.1 | -0.1 | 0.6 | 0.1 | 2.3 |
| 2006 | 0.1 | 0.5 | 0.2 | 0.2 | 0.4 | 0.3 | 0.1 | 0.9 | 0.1 | 0 | 0.1 | -0.2 | 2.7 |
| 2007 | 0.3 | -0.1 | 0.3 | -0.1 | 0.5 | 0.2 | -0.9 | 0.7 | 1.3 | 0.6 | 1 | 0.2 | 3.8 |
| 2008 | 0.2 | -1.6 | 0 | 0.2 | -0.2 | -1.5 | 0.1 | -0.2 | 2.3 | 2.5 | -1 | -0.1 | 0.5 |
| 2009 | -0.9 | -1.3 | 2.7 | 3 | 0.8 | 2.2 | 0.6 | -1.5 | -1.5 | -1.8 | 0.6 | -0.9 | 1.9 |
| 2010 | 0.7 | 1.3 | 1.1 | -0.7 | -0.7 | -1.6 | -0.1 | 1.1 | 0.7 | 0.5 | 1.1 | 0.4 | 3.9 |
| 2011 | 2.1 | -0.3 | 0.6 | 0.2 | -0.4 | 1 | 0.1 | -0.1 | -2.6 | -1.3 | 1.4 | -0.3 | 0.2 |
| 2012 | 0.5 | 0.4 | 0.1 | 0.6 | -1.9 | 0.6 | 0 | 0.1 | -0.1 | 0.7 | 0 | 0.4 | 1.3 |
| 2013 | 0.5 | -0.1 | -0.3 | -0.2 | -0.5 | -0.1 | 0.6 | 0.4 | 0.5 | 0.1 | 0.1 | 0.9 | 1.9 |
| 2014 | 0.1 | 0.2 | 0.4 | 0.8 | 0 | 0.5 | -0.4 | 0 | -1.3 | 1 | -1.1 | 0.1 | 0.3 |
| 2015 | -0.3 | 0 | -0.5 | -1 | 0.2 | 0.4 | 2.3 | -1.1 | -0.8 | 0.6 | 0.6 | 0 | 0.4 |
| 2016 | -0.3 | 1.3 | 0.1 | -1.3 | 0.1 | 0.5 | -0.5 | 0.1 | 1 | 0.5 | -0.8 | -0.3 | 0.4 |
| 2017 | 0.7 | -0.4 | 0 | 0.3 | 0.6 | 0 | -0.1 | 1.7 | 0 | 0.2 | -1.1 | 0.2 | 2 |
| 2018 | -2.8 | -0.5 | 0.3 | 0 | 0.6 | -0.5 | -0.2 | 0.4 | -0.3 | 1.4 | 0.2 | 2.2 | 0.6 |
| 2019 | -1.3 | 0.2 | 0.6 | 0.1 | -0.2 | 1 | -0.2 | -1.3 | -1.2 | 0.9 | -1.1 | 0.1 | -2.4 |
| 2020 | 1.3 | -5.7 | -7.9 | -2.1 | 1.8 | 1.6 | 0.4 | 0 | 1.3 | -2.4 | 1.1 | 1.7 | -9.2 |
| 2021 | 0.8 | 1.5 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 22.9 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 22.8 SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 22.9 SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 22.9 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 22.8 SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 23 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>